It should work. I tested with this indicator and it worked.
#property indicator_separate_window void start(){PlaySound("greetings.wav");}
**playsound does not work in strategy tester.
***ps, if you're still having problems, install mt4 outside programs_files.
I'm copy "trainhorn.wav" to C:\Program Files (x86)\MetaTrader - EXNESS\Sounds.
...
PlaySound("trainhorn.wav");
...
Why alert sound by "alert.wav" only ?
Thank you
Remark "trainhorn.wav" = 28k